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Written by leading market risk academic, Professor Carol Alexander, Quantitative Methods in Finance forms part one of the Market Risk Analysis four volume set. Starting from the basics, this book helps readers to take the first step towards becoming a properly qualified financial risk manager and asset manager, roles that are currently in huge demand. Accessible to intelligent readers with a moderate understanding of mathematics at high school level or to anyone with a university degree in mathematics, physics or engineering, no prior knowledge of finance is necessary. Instead the emphasis is on understanding ideas rather than on mathematical rigour, meaning that this book offers a fast-track introduction to financial analysis for readers with some quantitative background, highlighting those areas of mathematics that are particularly relevant to solving problems in financial risk management and asset management. Unique to this book is a focus on both continuous and discrete time finance so that Quantitative Methods in Finance is not only about the application of mathematics to finance; it also explains, in very pedagogical terms, how the continuous time and discrete time finance disciplines meet, providing a comprehensive, highly accessible guide which will provide readers with the tools to start applying their knowledge immediately.

All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the accompanying CD-ROM . Empirical examples and case studies specific to this volume include:
Principal component analysis of European equity indices;

  • Calibration of Student t distribution by maximum likelihood;
  • Orthogonal regression and estimation of equity factor models;
  • Simulations of geometric Brownian motion, and of correlated Student t variables;
  • Pricing European and American options with binomial trees, and European options with the Black-Scholes-Merton formula;
  • Cubic spline fitting of yields curves and implied volatilities;
  • Solution of Markowitz problem with no short sales and other constraints;
  • Calculation of risk adjusted performance metrics including generalised Sharpe ratio, omega and kappa indices.
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Market Risk Analysis is the most comprehensive, rigorous and detailed resource available on market risk analysis. Written as a series of four interlinked volumes each title is self-contained, although numerous cross-references to other volumes enable readers to obtain further background knowledge and information about financial applications.

Volume I: Quantitative Methods in Finance covers the essential mathematical and financial background for subsequent volumes. Although many readers will already be familiar with this material, few competing texts contain such a complete and pedagogical exposition of all the basic quantitative concepts required for market risk analysis. There are six comprehensive chapters covering all the calculus, linear algebra, probability and statistics, numerical methods and portfolio mathematics that are necessary for market risk analysis. This is an ideal background text for a Masters course in finance.

Volume II: Practical Financial Econometrics provides a detailed understanding of financial econometrics, with applications to asset pricing and fund management as well as to market risk analysis. It covers equity factor models, including a detailed analysis of the Barra model and tracking error, principal component analysis, volatility and correlation, GARCH, cointegration, copulas, Markov switching, quantile regression, discrete choice models, non-linear regression, forecasting and model evaluation.

Volume III: Pricing, Hedging and Trading Financial Instruments has five very long chapters on the pricing, hedging and trading of bonds and swaps, futures and forwards, options and volatility as well detailed descriptions of mapping portfolios of these financial instruments to their risk factors. There are numerous examples, all coded in interactive Excel spreadsheets, including many pricing formulae for exotic options but excluding the calibration of stochastic volatility models, for which Matlab code is provided. The chapters on options and volatility together constitute 50% of the book, the slightly longer chapter on volatility concentrating on the dynamic properties the two volatility surfaces  the implied and the local volatility surfaces  that accompany an option pricing model, with particular reference to hedging.

Volume IV: Value at Risk Models builds on the three previous volumes to provide by far the most comprehensive and detailed treatment of market VaR models that is currently available in any textbook. The exposition starts at an elementary level but, as in all the other volumes, the pedagogical approach accompanied by numerous interactive Excel spreadsheets allows readers to experience the application of parametric linear, historical simulation and Monte Carlo VaR models to increasingly complex portfolios. Starting with simple positions, after a few chapters we apply value-at-risk models to interest rate sensitive portfolios, large international securities portfolios, commodity futures, path dependent options and much else. This rigorous treatment includes many new results and applications to regulatory and economic capital allocation, measurement of VaR model risk and stress testing.

Joseph Carol Alexander - The Daily Iberian

Comments are not verified for accuracy, nor are the identities of users verified, so consider this as you weigh statements or opinions offered. Comments will not be posted if they don't show a reasonable attempt to follow basic rules of grammar and punctuation. You can say someone's ideas are stupid but not say another poster is stupid. Comments are reviewed prior to posting by the editors of The Daily Iberian. If you have questions, email news@daily-iberian. Set up a user name and permanent commenting screen name or post a comment using the guest feature For either you will be asked to provide an email address but note, there is no verification. Source: www.iberianet.com

Latest News

  • Joseph Carol Alexander

    02/09/17 ,via The Daily Iberian

    . Feb 8, 2017; Comments. CECILIA — Funeral services are pending for , 66, who died Monday, Feb. 6, 2017, at Tulane Medical Center in New Orleans. Pellerin Funeral Home of Cecilia is in charge of 

  • Area employers gather at Betty Carol Graham for job fair

    Job seekers gathered at the Betty Carol Graham Technology Center in hopes of finding a job with one of 36 employers at the career fair hosted by the Lake Martin Area Economic Development Alliance and Central Alabama Community College. C&J Tech, the

Twitter

RT @SecurityEditor: Carol Alexander, of @CAinc, on the role of omnichannel risk analysis @RSAConference https://t.co/bUFGaEdkfC #RSAC #info… 02/26/17, @CAinc
RT @SecurityEditor: Carol Alexander, of @CAinc, on the role of omnichannel risk analysis @RSAConference https://t.co/bUFGaEdkfC #RSAC #info… 02/26/17, @CASecurity
His last Christmas Carol 2016 by Pelkat PA GPIB Gloria, Bekasi Celebrating the full life of Christian Alexander Sinanoe 02/26/17, @FannySinanoe

Recipes

  • Carol's Chicken Salad

    black pepper, celery, chicken, garlic powder, green onion, grapes, lemon juice, mayonnaise, onion powder, poultry seasoning, salt, swiss cheese

Books

  • Market Risk Analysis, Value at Risk Models

    John Wiley & Sons. 2009. ISBN: 9780470745076,047074507X. 492 pages.

    Written by leading market risk academic, Professor Carol Alexander, Value-at-Risk Models forms part four of the Market Risk Analysis four volume set. Building on the three previous volumes this book provides by far the most comprehensive, rigorous and detailed treatment of market VaR models. It rests on the basic knowledge of financial mathematics and statistics gained from Volume I, of factor models, principal component analysis, statistical models of volatility and correlation and copulas from Volume II and, from Volume III, knowledge of pricing and hedging financial instruments and of mapping portfolios of similar instruments to risk factors. A unifying characteristic of the series is the pedagogical approach to practical examples that are relevant to market risk analysis in practice. All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the the accompanying CD-ROM . Empirical examples and case studies specific to this volume include: Parametric linear value at risk (VaR)models: normal, Student t and normal mixture and their expected tail loss (ETL); New formulae for VaR based on autocorrelated returns; Historical simulation VaR models: how to scale historical VaR and volatility adjusted historical VaR; Monte Carlo simulation VaR models based on multivariate normal and Student t distributions, and based on copulas; Examples and case studies of numerous applications to interest rate sensitive, equity, commodity and international portfolios; Decomposition of systematic VaR of large portfolios into standard alone and marginal VaR components; Backtesting and the assessment of risk model risk; Hypothetical factor push and historical stress tests, and stress testing based on VaR and ETL.

Bing news feed

  • Arts and Entertainment Calendar Feb. 26

    02/26/17 ,via Seacoast Online

    www.unh.edu/ara, email Carol Caldwell, 343-1004 , info@ara-nh.org ... 11:30 a.m. Michael Behnke will present "War of Two" by John Sedgwick, subtitled "Alexander Hamilton, Aaron Burr, and the Duel that Stunned the Nation." Despite Hamilton's current ...

  • Chamber board president excited about Bryant’s potential

    02/26/17 ,via Arkansas Online

    The new interchange on I-30 will be between exit 123 at Reynolds Road and exit 126 at Alexander Road. “This is all part of a $24 million project that includes two new fire stations [and other improvements]. It is not a tax, but an extension of an existin ...

  • University of Alabama President's and Dean's lists Fall 2016

    02/25/17 ,via Tuscaloosa News

    D’Entremont, Alexander James DeCubellis ... Trull. Dean’s List Aliceville: Carol Gracie Engle, Clinton W. Lewis, Kendall A. Lewis, Laura G. Lewis. Beaverton: Lauren M. Gann. Berry: Kayela Leigh Norris. Brent: Tyler S. Cottingham, Trenton L.

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Professor Carol Alexander – Professor of Finance at the ...

Professor of Finance at the University of Sussex Managing Editor of the Journal of Banking and Finance. Carol Alexander is a Professor of Finance at the University of ...

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Carol Alexander - IMDb

Carol Alexander, Actress: Duets. Carol Alexander is an actress, known for Duets (2000), Secret Lives (2005) and Tricks (1997).

Carol Alexander bio, filmography, age, pics & latest news

Carol Alexander bio, filmography, age, pics & latest news

Microsoft Cloud Architect, Mary Carol Alexander - YouTube

Microsoft Cloud Architect, Mary Carol Alexander - YouTube

Carol Alexander, Sydney - East - Image 1

Carol Alexander, Sydney - East - Image 1

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